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Kumar, P. R.; van Schuppen, J. H.

On the optimal control of stochastic systems with an exponential-of- integral performance index. (English) Zbl 0461.93061

J. Math. Anal. Appl. 80, 312-332 (1981).
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Cited in 11 Documents

MSC:

93E20 Optimal stochastic control
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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References:

[1] Wonham, W. M., Random differential equations in control theory, (Bharucha-Reid, A. T., Probabilistic Methods in Applied Mathematics, Vol.2 (1970), Academic Press: Academic Press New York), 131-212 · Zbl 0284.93029
[2] Fleming, W. H., Optimal continuous parameter stochastic control, SIAM Rev., 11, 470-509 (1969) · Zbl 0192.52501
[3] Rishel, R., Necessary and sufficient dynamic programming conditions for continuous time stochastic optimal control, SIAM J. Control Optim., 8, 559-571 (1970) · Zbl 0206.45804
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[5] Striebel, C., Martingale Conditions for the Optimal Control of Continuous Time Stochastic Systems, (Paper presented at the International Workshop on Stochastic Filtering and Control. Paper presented at the International Workshop on Stochastic Filtering and Control, Los Angeles, Calif. (May 13-17, 1974)) · Zbl 0137.35802
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[15] Elliott, R., The existence of value in stochastic differential games, SIAM J. Control Optim., 14, 85-94 (1976) · Zbl 0328.90085
[16] Varaiya, P., \(N\)-player stochastic differential games, SIAM J. Control Optim., 14, 538-545 (1976) · Zbl 0344.93054
[17] Elliott, R., The optimal control of a stochastic system, SIAM J. Control Optim., 15, 756-778 (1977) · Zbl 0359.93046
[18] Meyer, P. A., Probability and Potentials (1966), Ginn (Blaisdell): Ginn (Blaisdell) Boston · Zbl 0138.10401
[19] Meyer, P. A., Un cours sur les integrales stochastiques, (Seminaire de Probabilites \(X\). Seminaire de Probabilites \(X\), Lecture Notes in Mathematics No. 511 (1973), Springer-Verlag: Springer-Verlag Berlin), 245-400 · Zbl 0374.60070
[20] Speyer, J. L., An adaptive terminal guidance scheme based on an exponential cost criterion with application to homing missile guidance, IEEE Trans. Automat. Control, AC-21, 000-000 (1976) · Zbl 0324.93039
[21] Brockett, R. W., Finite Dimensional Linear Systems (1970), Wiley: Wiley New York · Zbl 0216.27401
[22] Kumar, P. R., Stochastic Optimal Control and Stochastic Differential Games, (D.Sc. thesis (1977), Washington University: Washington University St. Louis, Mo) · Zbl 0568.93041
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